Speaker: Mr Patrick Laub, UQ

Modern financers and insurers need to understand the risk they own in their portfolios, and to estimate the chance of a catastrophic loss or bankruptcy. Even with the most basic models (such as those of Black & Scholes or of Cramér & Lundberg) simple quantities such as quantiles are impossible to calculate directly. In my PhD, I have worked on density and Laplace transform approximation for the distribution of the sum of lognormals. Recently, with Pierre-Olivier Goffard, we have generalised the density approximation method (which relies on an orthogonal polynomial expansion) to general random sums. I'll outline the numerical aspects of the work, which includes quasi-Monte Carlo integration with importance sampling, and symbolic differentiation within Mathematica’s infinite precision algebra. The papers covered are available on Patrick's website.

About Statistics, modelling and operations research seminars

Students, staff and visitors to UQ are welcome to attend our regular seminars.

The events are jointly run by our Operations research and Statistics and probability research groups, and colleagues in the Centre for Applications in Natural Resource Mathematics.

Seminars are usually held on Tuesdays from 11am to 12pm.

Information for speakers

Plan to speak for up to 40 minutes, and allow up to 15 minutes for questions and discussion.

Pitch your presentation to an interdisciplinary mathematical audience.

To avoid technical delays on the day, contact us a few days in advance of your presentation to discuss requirements.

You can either email us your presentation in advance, or save it to a memory stick. Microsoft PowerPoint presentations and PDFs are the most convenient file formats, but you can also run the talk from your own laptop.

Venue

Priestley Building (67)
Room: 
442